Robust Asset Allocation at a glance
Robust Asset Allocation is a tactical asset allocation (TAA) strategy by Wes Gray (Alpha Architect) across US Equity, International Equity, REITs, Commodities, rebalanced monthly. Backtested 1986-02-28 to 2026-07-03 (40.3 years): 9.3% CAGR, 1.02 Sharpe, -22.0% max drawdown, 9.3% volatility.
- Type
- Tactical (TAA)
- Author
- Wes Gray (Alpha Architect)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-07-03
- CAGR
- 9.3%
- Sharpe
- 1.02
- Max Drawdown
- -22.0%
- Volatility
- 9.3%
Robust Asset Allocation — Tactical Asset Allocation Strategy
Robust Asset Allocation by Wes Gray of Alpha Architect applies absolute momentum as a binary filter across five risky asset classes, with a best-safe-asset replacement mechanism for failing assets.
Each risky asset gets an equal 20% slot. If its 12-month return is positive, it is held. If negative, that 20% slot is replaced by the single best-performing safe asset. An optional aggressive variant adds a second filter: a risky asset is only replaced if its 12-month return is negative AND its price is below the 12-month SMA.
Robust Asset Allocation: frequently asked questions
- What is Robust Asset Allocation?
- Five-asset equal-weight allocation (US/intl stocks, REITs, commodities, gold) with absolute momentum filter. Any asset with negative 12-month return is replaced by the best-performing safe bond ETF. Monthly rebalancing.
- Who created the Robust Asset Allocation strategy?
- Robust Asset Allocation was developed by Wes Gray (Alpha Architect). It is based on Gray, W. (Alpha Architect). Robust Asset Allocation.
- What is the historical return and maximum drawdown of Robust Asset Allocation?
- Backtested from 1986-02-28 to 2026-07-03, Robust Asset Allocation returned 9.3% CAGR with a -22.0% maximum drawdown and a Sharpe ratio of 1.02. Past performance does not guarantee future results.
- How often is Robust Asset Allocation rebalanced?
- Robust Asset Allocation is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Robust Asset Allocation a tactical asset allocation strategy?
- Yes. Robust Asset Allocation is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1986-02-28 to 2026-07-03)
| Metric | Robust Asset Allocation |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.3% |
| Maximum Drawdown | -22.0% |
| Sharpe Ratio | 1.02 |
| Sortino Ratio | 1.41 |
| Annualized Volatility | 9.3% |
| Calmar Ratio | 0.42 |
| Total Return | 3501.9% |
| Backtest Period | 40.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Wes Gray (Alpha Architect)
- Source
- Gray, W. (Alpha Architect). Robust Asset Allocation
Asset Classes
- US Equity
- International Equity
- REITs
- Commodities
- Gold
- Bonds
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Track Robust Asset Allocation in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.